Divisible E-Cash from Constrained Pseudo-Random Functions

International audienceElectronic cash (e-cash) is the digital analogue of regular cash which aims at preservingusers’ privacy. Following Chaum’s seminal work, several new features were proposed for e-cash toaddress the practical issues of the original primitive. Among them,divisibilityhas proved very usefulto enable efficient storage and spendings. Unfortunately, it is also very difficult to achieve and, todate, quite a few constructions exist, all of them relying on complex mechanisms that can only beinstantiated in one specific setting. In addition security models are incomplete and proofs sometimeshand-wavy.In this work, we first provide a complete security model for divisible e-cash, and we study the linkswith constrained pseudo-random functions (PRFs), a primitive recently formalized by Boneh andWaters. We exhibit two frameworks of divisible e-cash systems from constrained PRFs achievingsome specific properties: either key homomorphism or delegability. We then formally prove theseframeworks, and address two main issues in previous constructions: two essential security notionswere either not considered at all or not fully proven. Indeed, we introduce the notion ofclearing,which should guarantee that only the recipient of a transaction should be able to do the deposit,and we show theexculpability, that should prevent an honest user to be falsely accused, was wrongin most proofs of the previous constructions. Some can easily be repaired, but this is not the casefor most complex settings such as constructions in the standard model. Consequently, we providethe first construction secure in the standard model, as a direct instantiation of our framework

Real Option Valuation of a Portfolio of Oil Projects

Various methodologies exist for valuing companies and their projects. We address the problem of valuing a portfolio of projects within companies that have infrequent, large and volatile cash flows. Examples of this type of company exist in oil exploration and development and we will use this example to illustrate our analysis throughout the thesis. The theoretical interest in this problem lies in modeling the sources of risk in the projects and their different interactions within each project. Initially we look at the advantages of real options analysis and compare this approach with more traditional valuation methods, highlighting strengths and weaknesses ofeach approach in the light ofthe thesis problem. We give the background to the stages in an oil exploration and development project and identify the main common sources of risk, for example commodity prices. We discuss the appropriate representation for oil prices; in short, do oil prices behave more like equities or more like interest rates? The appropriate representation is used to model oil price as a source ofrisk. A real option valuation model based on market uncertainty (in the form of oil price risk) and geological uncertainty (reserve volume uncertainty) is presented and tested for two different oil projects. Finally, a methodology to measure the inter-relationship between oil price and other sources of risk such as interest rates is proposed using copula methods.Imperial Users onl

Proceedings of the second "international Traveling Workshop on Interactions between Sparse models and Technology" (iTWIST'14)

The implicit objective of the biennial "international - Traveling Workshop on Interactions between Sparse models and Technology" (iTWIST) is to foster collaboration between international scientific teams by disseminating ideas through both specific oral/poster presentations and free discussions. For its second edition, the iTWIST workshop took place in the medieval and picturesque town of Namur in Belgium, from Wednesday August 27th till Friday August 29th, 2014. The workshop was conveniently located in "The Arsenal" building within walking distance of both hotels and town center. iTWIST'14 has gathered about 70 international participants and has featured 9 invited talks, 10 oral presentations, and 14 posters on the following themes, all related to the theory, application and generalization of the "sparsity paradigm": Sparsity-driven data sensing and processing; Union of low dimensional subspaces; Beyond linear and convex inverse problem; Matrix/manifold/graph sensing/processing; Blind inverse problems and dictionary learning; Sparsity and computational neuroscience; Information theory, geometry and randomness; Complexity/accuracy tradeoffs in numerical methods; Sparsity? What's next?; Sparse machine learning and inference.Comment: 69 pages, 24 extended abstracts, iTWIST'14 website: http://sites.google.com/site/itwist1

포트폴리오 관리를 위한 기계학습 기반 자산 배분 전략 및 디지털 자산 투자

학위논문(박사) -- 서울대학교대학원 : 공과대학 산업공학과, 2022. 8. 이재욱.자산 분산화와 위험 관리는 포트폴리오 관리의 핵심 요소이다. 자산 분산화란 자산간 상관관계를 추정하여 자산 배분을 기반으로 다중 자산 포트폴리오에 대한 분산 효과를 극대화하는 것을 의미한다. 위험 관리란 자산의 잠재적 위험과 변동성을 추정하여 자산 배분을 기반으로 주어진 포트폴리오에 대한 하방 위험을 최소화하는 것을 의미한다. 또한 포트폴리오 관리의 두 가지 중요한 절차는 다음과 같다. 첫째, 적절한 자산 배분 전략 시행을 위한 모형 개선 및 시행이다. 모형이 가진 내재적 한계로 인해 자산 배분 전략을 적절하게 수행하지 못하는 경우, 해당 포트폴리오 모형이 추구하는 목표를 달성하지 못하게 되어 바람직하지 않은 포트폴리오가 구축되는 문제가 발생할 수 있다. 이러한 목표는 여러 개의 자산을 포함하는 포트폴리오에 대한 분산 효과와 한가지 자산에 대한 포트폴리오 가치 방어를 통한 위험 관리를 포함한다. 둘째, 투자를 위한 자산군 선택이다. 기존의 자산군과 상관관계가 작은 새로운 자산군에 대한 선택이 효율적인 포트폴리오 구축에 있어 잠재적으로 큰 도움을 줄 수 있다. 본 논문은 포트폴리오 관리에 대한 이러한 두 가지 핵심과 절차에 초점을 맞추어 연구를 수행하였다. 자산 분산화와 위험 관리 각각의 관점에 대하여, 첫째, 기존 포트폴리오 모형의 구축 및 모수 추정에 대한 한계점을 개선하는 연구를 수행하였다. 둘째, 새로운 디지털 자산 시장에 대한 포트폴리오 분석을 수행하였다. 이에 따라, 본 논문의 구체적인 목표는 다음과 같이 두 가지로 정리될 수 있다. 첫째, 모형 구축 및 모수 추정에 대한 한계점을 갖는 기존 포트폴리오 관리 전략의 개선에 관한 연구를 수행하는 것이다. 구체적으로, 블랙-리터만 모형의 전망 구축과 합성 풋 옵션 전략의 모수 추정에 대한 문제를 다루었다. 둘째, 대체불가능 토큰과 암호화폐 시장을 포함하는 디지털 자산 시장에 관한 포트폴리오 분석 및 실증 결과를 살펴보는 것이다. 이때, 대체불가능 토큰에 대해서는 마코위츠의 평균-분산 모형을, 암호화폐에 대해서는 포트폴리오 보험 모형을 사용한다. 첫 번째 연구를 위해, 자산 수익률 이외의 외부적인 금융 데이터로부터 의미 있는 패턴을 추출할 수 있는 기계학습 모형을 사용하여 블랙-리터만 모형의 전망 구축을 수행하는 모형을 제안하였고, 이에 대한 실증 결과를 살펴 보았다. 또한, 합성 풋 옵션 전략에서 요구하는 변동성 모수 추정의 문제를 해결하기 위해 기계학습 기반 변동성 예측 모형을 사용하여 개선된 합성 풋 옵션 전략을 제안하고, 이에 대한 실증 연구를 수행하였다. 두 번째 연구를 위해서는, 기존 자산 기반 포트폴리오에 대해 대체불가능 토큰이 새로운 자산군으로써 분산 효과를 제공할 수 있는지를 살펴봄으로써 그 경제학적 가치를 검증해 보았고, 다양한 위험 측정 지표와 투자자 효용 측면에서 포트폴리오 보험 전략에 대한 암호화폐 시장에서의 실증 결과를 살펴보았다. 본 논문의 주요 실증 결과는 다음과 같다. 첫째, 기업 특성 변수를 결합하여 전망에 반영하였을 때, 블랙-리터만 모형에서 산출된 포트폴리오의 수익률 분포가 개선됨을 확인하였다. 또한, 기업 특성 변수를 반영할 때, 과거의 정보를 단순히 반영하는 것보다 기계학습 기법을 활용하여 미래에 대한 예측 방식으로 반영할 때 표본 외 성능 측면에서 훨씬 큰 개선이 나타났다. 해당 연구 결과는, 본 논문에서 제안된 기업 특성 변수 기반 전망 구축 방법론을 바탕으로 한 블랙-리터만 모형을 통해 더 잘 분산되고 더욱 효율적인 포트폴리오를 구축하는 것이 가능하다는 것을 보여준다는 점에서 의의가 있다. 둘째, 계량 경제 모형 및 포트폴리오 실증 분석 결과, 대체불가능 토큰은 기존 자산에 시장에 대해 헤지, 안전 피난처, 분산 효과를 갖는다는 증거를 발견하였다. 구체적으로, 대체불가능 토큰은 여러 국가의 주식 시장, 원유 시장, 채권 시장, 달러 지수에 대해 헤지 및 안전 피난처 효과를 보이며, 이러한 경향성은 자산 수익률 데이터의 해상도가 변함에 따라 그 정도가 달라진다. 특히 COVID-19 위기 동안, 채권 시장 및 달러 지수에 대해 더욱 강한 강도의 안전 피난처 효과를 보였다. 또한, 대체불가능 토큰 시장은 기존 자산 시장과 매우 구별되는 자산 시장으로써, 상관관계, 공행성, 변동성 스필오버 효과 및 마코위츠의 평균-분산 포트폴리오 모형을 통한 분석 결과, 대체불가능 토큰이 기존 자산군에 대한 강한 분산 효과를 가짐을 확인하였다. 이를 통해, 대체불가능 토큰의 편입이 균등 배분 포트폴리오 모형과 접점 포트폴리오 모형을 샤프 비율 측면에서 크게 개선 시킬 수 있음을 확인하였다. 셋째, 포트폴리오 가치 방어 오차 측면에서 합성 풋 옵션 전략에 변동성 모수 추정 오차에 의한 악영향이 존재함을 시뮬레이션 및 실제 금융 시장 데이터를 통해 확인하였다. 흥미롭게도, 포트폴리오 가치 방어 오차는 이러한 변동성 예측의 정확도와 직접적으로 연관되어 있다는 것을 통계적으로 확인하였다. 이는, 더욱 정확한 변동성 예측 모형을 통해 합성 풋 옵션의 모수 추정 오차 문제를 완화할 수 있다는 사실을 실증적으로 확인했다는 점에서 의의가 있다. 또 다른 결과로써, 전통적인 변동성 예측 방법론 및 기계학습 기반 변동성 예측 방법론 모두 단순 모형보다 성능이 좋다는 것을 확인하였다. 또한, 기계학습 모형이 가장 우수한 성능을 보였으며, 그중 익스트림 그라디언트 부스팅 (XGB) 모형이 포트폴리오 가치 방어 오차 및 변동성 예측 오차 측면에서 가장 좋은 성능을 보임을 확인하였다. 이러한 경향성은 기계학습 모형이 기존의 모형 보다 실현 변동성 (realized volatility)의 복잡한 파동 패턴을, 매우 변동성이 큰 시장 상황에서도 더욱 잘 잡아낸다는 사실을 지지하는 결과라 할 수 있다. 마지막으로, 하방 위험 측면에서, 포트폴리오 보험 전략들이 암호화폐 시장에서 벤치마크 방법론보다 더 좋은 성능을 보임을 실증적으로 확인하였다. 이러한 포트폴리오 보험 전략들은 매수 후 보유 전략보다 더 작은 위험을 보이는 것을 알 수 있었다. 또한, 흥미롭게도, 효용함수의 곡률 측면에서, 전망 이론 투자자의 포트폴리오 선택과 기대 효용 이론 투자자의 포트폴리오 선택의 경향성이 서로 반대로 나타남을 발견 하였다. 이러한 결과는, 전망 이론 투자자에 대하여 이익 대비 손실의 영향력이 더 클 수 있음을 나타낸다. 이와 더불어, 투자자의 손실 회피 경향이 포트폴리오 보험 전략에 대한 투자자의 선호를 더욱 강화시킬 수 있음을 확인하였다. 가장 놀라운 결과로써, 투자자가 어떤 효용 함수를 따르는지에 관계없이, 암호화폐 시장에서 포트폴리오 보험 전략이 매수 후 보유 전략 보다 높은 효용을 주는 영역이 기존 자산 시장에서보다 더 넓음을 확인하였다. 이는 포트폴리오 보험 전략이 더 많은 수의 암호화폐 투자자에 대해 위험 관리 측면에서 더 큰 경제학적 가치를 제공해 줄 수 있음을 실증하는 결과라는 점에서 의의가 있다. 본 논문은 블랙-리터만 모형의 다중 자산 포트폴리오와 합성 풋 옵션 전략의 개별 자산 포트폴리오에 대한 포트폴리오 관리 모형을 자산 분산화와 위험 관리 측면에서 개선하는 연구를 수행하였다. 또한, 마코위츠의 평균-분산 모형과 포트폴리오 보험 모형을 사용하여 대체불가능 토큰과 암호화폐 시장을 포함한 새로운 디지털 자산 시장에서의 포트폴리오 분석을 수행하였다. 본 논문의 결과를 바탕으로, 투자자들은 자산 분산화와 위험 관리 관점에서 더욱 개선된 포트폴리오 전략을 달성할 수 있으며, 이를 통해 개선된 포트폴리오 관리를 위한 더욱더 효율적이고 바람직한 투자 포트폴리오를 구축할 수 있게 될 것으로 기대된다.The core of portfolio management is asset diversification and risk management. Asset diversification is to maximize the diversification effect for a multi-asset portfolio based on asset allocation by estimating the correlation between assets. Risk management is to minimize the downside risk for a given portfolio based on asset allocation by estimating the potential risk and volatility of an asset. The essential portfolio management procedure is twofold; (i) model improvement and implementation for appropriate model specifications and portfolio construction and (ii) asset class selection for investment. The first part is necessary to implement the strategy adequately to achieve the aim of that model, such as robust multi-asset portfolio management via asset diversification and single asset risk management via robust protection level maintenance. The second part is vital because a new asset class uncorrelated to the traditional asset class has potential opportunities for efficient portfolio construction. Accordingly, this dissertation focuses on research from two perspectives dealing with the above two essential procedures. Regarding the perspective of asset diversification and risk management, the first is a study on addressing and improving the existing portfolio strategy models' limitations in model construction and estimation of input parameters for appropriate model specification. The second is a portfolio analysis of new emerging asset markets. The first aim of this dissertation is to improve the existing portfolio management strategy in model construction for the Black–Litterman framework and input parameter estimation for the synthetic put strategy for the appropriate model specification. The second aim is to investigate the empirical results using portfolio analysis in the emerging digital asset markets, including Non-Fungible Tokens (NFTs) and the cryptocurrency market, based on the mean-variance framework or portfolio insurance framework. For the first aim, we propose to use machine learning-based models to extract the meaningful pattern of external financial data for the Black–Litterman model using firm characteristics. Furthermore, we propose to use machine learning-based forecasting models to estimate the input parameters required for portfolio insurance strategy to mitigate the difficulty of addressing complex financial data. For the second aim, we examine the economic value of NFT in terms of diversification effect on traditional asset-based portfolios and portfolio insurance strategy results regarding various risk measures and investor's utility in the cryptocurrency market. The main findings in this dissertation are summarized as follows. First, our empirical results show that combining characteristics into view improves the distribution of portfolio returns in the Black–Litterman approach. Furthermore, prediction via machine learning affects improvement in the out-of-sample performance compared to using past information. Our study suggests that using the proposed model can result in a more efficient and diversified portfolio of the Black–Litterman framework. Second, our empirical results of portfolio analysis in the NFT market show evidence of the hedge, safe haven, and diversification properties of NFTs, confirming two main findings: (i) NFTs act as a hedge and safe haven for several country's stock markets and oil, bond, and USD indices and these effects in stock markets fade as frequency changes, especially showing stronger safe haven benefits for bond and USD indices during the COVID-19 periods, and (ii) NFTs are distinct from traditional assets, potentially resulting in portfolio diversification which is confirmed by preliminary analysis including correlation, co-movement, and volatility spillover and portfolio analysis based on Markowitz's mean–variance framework, improving the performance of equally weighted and tangency portfolio strategies in terms of Sharpe ratio. Third, our findings indicate that the adverse effect of volatility misestimation exists in terms of protection level error in the synthetic put strategy. We surprisingly find the protection error of insured portfolios directly linked to the precision of volatility forecasting, implying that this misestimation issue can be mitigated by employing more accurate volatility forecasting models. Another finding is that all methodologies, including traditional and machine learning-type, are better than the naive approach. Moreover, machine learning-type models, especially XGB, are the best in terms of protection and forecasting error in implementing the synthetic put strategy. This tendency supports the evidence that machine learning is better than traditional models in capturing the complex fluctuation pattern of realized volatility in highly volatile market conditions. Finally, our findings demonstrate the outperformance of portfolio insurance strategies in terms of skewness and downside risks in the cryptocurrency market. It reveals the lower-risk feature of these strategies compared to buy-and-hold. Moreover, we surprisingly find that, in terms of curvature, the portfolio choice of prospect theory investors is opposite to the expected utility theory investors. It implies the greater impact of losses than gains on the prospect theory investors. The larger loss-aversion propensity reinforces investors' preference for portfolio insurance strategies. As the most shocking result, we find portfolio insurance, when compared to the buy-and-hold strategy, provides a better opportunity to offer a higher utility in the cryptocurrency market than the traditional stock market, regardless of the investor's utility. It implies that portfolio insurance strategies can provide greater economic value in terms of risk management for a larger number of cryptocurrency investors. By improving the portfolio management models in terms of asset diversification of the multi-asset portfolio of the Black–Litterman model and risk management of a given portfolio or a single asset of synthetic put strategy, and by examining the portfolio analysis in new digital asset markets such as NFT and cryptocurrency market based on mean-variance and portfolio insurance framework, this dissertation's overall findings can help investors achieve an improved portfolio strategy and obtain a more efficient and well-diversified portfolio for the improved portfolio management.Chapter 1 Introduction 1 1.1 Background and motivation 1 1.2 Aims of the Dissertation 11 1.3 Organization of the Dissertation 13 Chapter 2 Black–Litterman model considering firm characteristic variables 15 2.1 Chapter overview 15 2.2 Data and Methodology 17 2.2.1 Data 17 2.2.2 Methodology 18 2.3 Empirical results 25 Chapter 3 Portfolio analysis for Non-Fungible Token market 28 3.1 Chapter overview 28 3.2 Data 31 3.2.1 Data for a hedge and safe haven effect 32 3.2.2 Data for a diversification effect 33 3.3 Methodology 36 3.3.1 Methods for a hedge and safe haven effect 36 3.3.2 Methods for a diversification effect 38 3.4 Empirical results 41 3.4.1 Results of a hedge and safe haven effect 41 3.4.2 Results of a diversification effect 49 Chapter 4 Volatility forecasting for portfolio insurance strategy 57 4.1 Chapter overview 57 4.2 Data 63 4.2.1 The Monte Carlo simulation data 63 4.2.2 The real-world data 66 4.3 Portfolio insurance strategy 69 4.3.1 Synthetic put strategy 69 4.3.2 Protection level error 73 4.4 Volatility forecasting models 76 4.4.1 Naive model 76 4.4.2 GARCH-type models 77 4.4.3 HAR-RV-type models 79 4.4.4 Machine learning-type models 81 4.4.5 Forecasting performance measure and statistical test 89 4.5 Experimental design and procedure 90 4.5.1 The Monte Carlo simulation 91 4.5.2 The real-world data simulation 92 4.6 Empirical results 94 4.6.1 The Monte Carlo simulation results 94 4.6.2 The real-world data simulation results 99 Chapter 5 Portfolio insurance strategy in the cryptocurrency market 108 5.1 Chapter overview 108 5.2 Portfolio insurance strategies 123 5.2.1 SL strategy 123 5.2.2 CPPI strategy 124 5.2.3 TIPP strategy 126 5.2.4 VBPI strategy 127 5.3 Downside risks 130 5.3.1 MDD and AvDD 130 5.3.2 VaR 132 5.3.3 ES 133 5.3.4 Semideviation 133 5.3.5 Omega ratio 134 5.4 Investor’s utility 136 5.4.1 Expected utility theory 136 5.4.2 Prospect theory 138 5.5 Data and experimental design 140 5.5.1 Data 140 5.5.2 Experimental design 143 5.6 Empirical results 147 5.6.1 Downside risk results 147 5.6.2 Investor’s utility results 159 Chapter 6 Conclusion 167 6.1 Summary and contributions 167 6.2 Future work 178 Bibliography 180 Appendices 218 A Appendix to Chapter 3 218 B Appendix to Chapter 4 220 C Appendix to Chapter 5 220 국문초록 228박

Reassembling the monad: the intellectual genealogy of an actant rhizome ontology

The monad, of which we will speak here, is nothing else than a simple substance, which goes to make up compounds; by simple, we mean without parts. (Leibniz, Monadology) From its origins in antiquity the monad is a concept that has time and again beguiled and attracted philosophers. This thesis will argue that it is a concept that lives on in the work of Bruno Latour and that it continues to have a contemporary relevance, offering a way out of sterile debates rooted in Cartesian dualism – subject/object, interior/exterior, essence/accident, whole/part, mind/body – and an alternative to those traditions which privilege one side of the dualism over the other – positivism on one hand, postmodernism on the other. The present study charts the development of the monad through the modern period, beginning with the work of Gottfried Leibniz and, thereafter, its recurrence in the work of Gabriel Tarde, Alfred North Whitehead, and, finally, Bruno Latour. However, rather than simply sketching a chronological history of the monad this study takes as its starting point Bruno Latour’s Actor-Network Theory, or to use Latour’s preferred formulation, Actant Rhizome Ontology. Arguing that Latour’s work is best understood as being another instance of a monadological metaphysics that – contra Graham Harman – owes more to Whitehead than Heidegger, to Tarde than Nietzsche, to Leibniz than Spinoza; the thesis traces the genetic intellectual relations between Latour and his three co-monadologists. Latour himself frequently identifies Leibniz, Tarde and Whitehead as intellectual antecedents in his own work; in the spirit of Latour’s own Actor-Network Theory, this thesis takes a closer look at these claimed chains of association. The first chapter surveys Leibniz’s monadology and argues that, far from being an idealist, Leibniz was committed to a monism that recognized the materiality of simple substance through his corporeal ‘de Volder’ monad. This does not necessarily lead, as argued forcibly Pauline Phemister, to pan-psychism, as Leibniz anticipates William James’ ‘depsychologized’ category of experience with his three level system of bare, soul and spirit monads, where only the spirit monads possess anything resembling a mind; however, it takes Whitehead’s transformation of the monad into the actual entity to complete the break between experience and mind. The second chapter provides a close reading of Gabriel Tarde’s Monadology & Sociology, a work only made available in English in 2012. Latour has played a significant role in the rediscovery of Tarde, claiming his criminologist compatriot as an intellectual forefather; yet throughout the 20th century Tarde’s work quietly influenced continental philosophy through Giles Deleuze who, despite only ever mentioning Tarde parenthetically, borrows Tarde’s very own formulation for the title of Difference et Repetition. The chapter presents Tarde’s work as being an explosion of the Leibnizian monad where the universe is no longer reflected but literally embodied in each individual entity while at the same time diffused through the universe of monads by virtue of relations of possession. Taken together with his theory of repetition and imitation, his privileging of difference over identity, and his philosophy of having – his ‘echontology’ – Tarde’s monadology provides the foundations for a truly relational ontology; foundations which Latour will retrospectively claim for Actor Network Theory. The third chapter considers Whitehead’s metaphysical scheme as presented in Process and Reality. Whitehead resolves the ‘audacious fudge’ committed by Leibniz – the doctrine of pre-established harmony – through a complex and sophisticated realist metaphysical system, one held together by ‘creativity’. Whitehead’s categoreal scheme, his peculiar vocabulary, his reiterative method whereby ideas are presented over and over again in different contexts mirror the very metaphysical scheme he describes. This – along with his insistence on the atomic nature of time and the instantaneous emergence and realization of each ‘actual entity’ – lays the basis for Latour’s democratic ontology which, as well as famously according equality between human and non-human actors affords concepts the same ontological status as the thinker in whose mind they have been formed. The final chapter returns to the work of Latour himself to find the monad reassembled as the ‘actor-network’. Latour’s ontological scheme is discussed in detail with reference to his three antecedents, and his ontology is presented as a reiteration/renewal of the monad; an ontology that itself demands to be renewed each and every time it is deployed. Finally, the thesis argues that Latour pays insufficient heed to Whitehead’s understanding of abstraction with the result that, despite developing the idea himself, Latour fails to fully embrace the ontological reality of the abstract. This in turn leads to his preference for litany over critique and results in a philosophy with a great deal of descriptive power but little or no transformational power. The ‘compositionist’ politics that emerge from Latour’s Actant Rhizome Ontology are ambiguous and utopian, and the thesis concludes by suggesting that more work is required to further Latour’s democratization of the monad, to include its radicalization, in pursuit of a monadology that provides an ontological basis for: …the genuine resolution of the conflict between man [sic] and nature and between man and man – the true resolution of the strife between existence and essence, between objectification and self-confirmation, between freedom and necessity, between the individual and the species. (Marx, Economic and Philosophical Manuscripts of 1844

Managerial flexibility and competitive interaction in investment decisions : a discrete-time agency theoretic perspective

JEL Classification System: C70; G31; G32.This work intends to incorporate into a unified perspective three different fields of corporate finance: the managerial flexibility present in investment projects through the so-called real options models; the existence of agency costs as a result of financing strategies that rely in a mix between equity and debt; the existence of competition between firms, in non-purely competitive markets, through game theory. The aim of this work is to produce an integrated perspective of analysis that constitutes a value added to the literature, bringing new angles of approach to these issues. Indeed, to date, the link between these different aspects that affect managerial decisions in competitive markets is not yet established in a unified point of view. As such, we believe that the connection established in the present research may contribute to an improved understanding of that decision-making process. The work comprises two fundamental components. First, a theoretical review of concepts and latest developments in each of the different themes which are later combined. After such review, a discrete-time model that makes the connection between these theories is developed. Such model departs from the analysis of Mauer and Ott (2000) and Smit and Trigeorgis (2004). Afterwards, a numerical simulation is performed and the findings from such analysis are described. The results, from the simulation performed show that the existence of competition in non-purely competitive markets does produce a significant impact in managerial decisions.Este trabalho pretende incorporar numa perspectiva unificada três diferentes temáticas das finanças empresariais: a flexibilidade operacional presente em projectos de investimento através dos denominados modelos de opções reais; a existência de custos de agência em consequência de estratégias de financiamento que recorrem a capitais próprios e a capitais alheios; a concorrência entre empresas, em mercados não puramente concorrenciais, analisada através da teoria de jogos. Pretende-se com este trabalho trazer uma perspectiva integradora de análise que constitua uma mais valia para a literatura e que permite trazer novos prismas de abordagem a estas questões. Com efeito, até ao presente, a ligação entre estes diferentes aspectos, que afectam a tomada de decisões empresariais em mercados concorrenciais, ainda não se encontra estabelecida de uma forma unificada. Como tal, julgamos que a ligação aqui estabelecida pode contribuir para uma melhoria na compreensão dessa mesma tomada de decisões. O trabalho desenvolvido inicia-se com uma revisão teórica dos principais conceitos e desenvolvimentos mais recentes em opções reais, teoria da agência e teoria dos jogos. A seguir, desenvolve-se um modelo a tempo discreto que unifica essas mesmas teorias. Tal modelo desenvolve-se a partir da análise de Mauer e Ott (2000) e da de Smit e Trigeorgis (2004). Posteriormente, procede-se a uma simulação e apresenta-se as conclusões da análise realizada. Os resultados encontrados demonstram que, na simulação realizada a existência de concorrência em mercados não puramente competitivos produz impactos significativos na tomada de decisões empresariais